My qustion is how i can do that when i press a button that the Pc see that as a Key event
The Arduino has no idea what a key event is. The only way for an application on the PC to communicate with the Arduino is via the serial port.
So, you'll need to create an application on the PC that recognizes key events and sends something to the Arduino, via the serial port.
Various languages can be used to develop such an application, and there are links on the Playground to help you with some of them. I like C# because it makes communicating with the serial port very easy. There are free versions of Visual C# available from Microsoft if you want to go that route.
Processing is another good choice (http://Processing.org